Interest rates and yields. Historical time series 4. November 2007

Transkript

1 Interest rates and yields Historical time series 4 November 2007

2 2 Kapitalmarkt / Capital market

3 Swiss National Bank Interest rates and yields November 2007 Kapitalmarkt / Capital market 1

4 Published by Swiss National Bank Statistics P.O. Box CH-8022 Zurich Author Regula Baumgartner Further information Individual issues Swiss National Bank, Library, P.O. Box, CH-8022 Zurich Phone , fax library@snb.ch Languages The report is published in German (original version), French and English. Delivery November 2007 SNB website The publications of the Swiss National Bank are available on the SNB website, Publications. Copyright Reproduction and publication of figures permitted with reference to source. Printed by Fotorotar AG CH-8132 Egg/ZH ISSN (printed version) ISSN (online version) 2 Kapitalmarkt / Capital market

5 General overview Page 5 Historical time series 5 Preface 7 Commentary 9 Introduction 9 Commentary on the interest rates and yields presented in this publication 9 SNB interest rates 9 Discount credit 9 Lombard advances 10 Target range for three-month Libor 10 Main financing operations 10 Special-rate repo transactions 10 Yields on Confederation money market debt register claims 11 Interbank rates 11 The tom/next deposit rate 11 Repo Overnight Index (SNB) 11 Libor 11 Yields on bonds 11 Yield on 3.5% SBB/CFF bonds, series A K 11 Average yield, by maturity 12 Average yield, by callability and maturity 12 Spot interest rates 13 Interest rates on bank customer loans and deposits 13 Customer loans 13 Mortgage loans 13 Current account overdraft facility 13 Customer deposits 13 Savings deposits 13 Sight deposits 14 Time deposits 14 Medium-term bank-issued notes 15 Bibliography and further reading 17 Tables 19 List of tables 21 Conventions and notes 23 SNB interest rates 29 Money market rates, in CHF 33 Yields on bonds 41 Interest rates on bank customer loans and deposits Interest rates and yields 3 SNB

6 SNB 4 Interest rates and yields

7 Historical time series Preface In 2007, the Swiss National Bank is celebrating its centenary. To mark the occasion it is publishing a number of booklets containing long time series. The topics presented cover areas that have been, or still are, significant for the formulation and implementation of monetary policy. By producing this series of publications the National Bank hopes to support historical and empirical analyses of the Swiss economy. The publications also include commentaries on the published time series, describing the methods used for calculating the data and, for some topics, the historical and regulatory background. These notes are not exhaustive but are intended to help the reader understand and interpret the data and to provide the information required to relate different time series to each another. Interest rates and yields 5 SNB

8 SNB 6 Interest rates and yields

9 Commentary Interest rates and yields 7 SNB

10 SNB 8 Interest rates and yields

11 Introduction It is hard to say what the interest rate represents whether it is a thermometer, a barometer or a manometer since, depending on circumstances, the interest rate can measure fluctuations in temperature, pressure or tension. And it is just as likely to reflect actions in the past as to point to events in the future. (Translation of a text by Duperrex 1952, p. 2) This quote clearly shows why the observation of interest rates and yields has been of such interest to the Swiss National Bank (SNB) since its establishment. Interest rates and yields are important indicators, both of the current economic situation and of future developments in the economy. Interest rates are also a key element for the SNB when implementing its monetary policy. Finally, the impact of monetary policy on the business cycle (the transmission mechanism) can be monitored through developments in interest rates. The tabular section of this publication contains data on interest rates and yields. The commentary section explains the tables and outlines the calculation methods used. The order in which the tables are explained corresponds to the monetary policy transmission mechanism, beginning with SNB interest rates, continuing with money and capital market rates and concluding with interest rates for customer loans and deposits. Commentary on the interest rates and yields presented in this publication SNB interest rates Discount credit The discount rate was the rate that banks had to pay for a discount credit from the Swiss National Bank (SNB). In a discount credit transaction, the SNB would purchase domestic securities from a bank and hold these securities until maturity. The amount credited to the bank's SNB sight deposit account would be the nominal price of the securities less the discount deduction. This deduction amounted to the sum of all discount interest on the securities over the residual term. The maximum residual term was six months. The bank would repurchase the securities that fell due, thereby repaying the credit. The SNB used the discount credit instrument to steer liquidity in the banking sector, 1 while the banks used it to bridge liquidity bottlenecks. During the early years of the National Bank, the discount credit was its most important monetary policy instrument. However, after the First World War, commercial bills declined in importance, both as a means of payment and a vehicle for lending. Consequently, discount credits no longer played a major role. Nevertheless, the discount rate retained its function as an important indicator. The last discount credit was granted in In 2000, the SNB ceased publication of the discount rate. Lombard advances Through Lombard transactions, the SNB made lines of credit available to banks. Within the limits set by these lines of credit, the banks could borrow funds against pledged securities. Lombard advances made it possible for banks to bridge short-term liquidity bottlenecks if they were unable to obtain the requisite liquidity in the market. They paid the SNB the Lombard rate for the funds borrowed. From 1907 to 1989, the SNB set this rate at percentage points above the discount rate. The Lombard rate was often below the money market rate, due to the time that elapsed between National Bank adjustments of the Lombard rate to market conditions. Commercial banks made use of this situation to finance their end-of-month liquidity needs through Lombard advances. In order to counter this, the SNB took several measures in 1989, including the introduction of a flexible Lombard rate. This rate was set at 2 percentage points above the average of the overnight rates paid in the money market on the two preceding days. This average was rounded to the closest 1/8 and announced daily at 9 a.m. The SNB abolished Lombard advances at the end of 2005, replacing them by special-rate repo transactions. 1 Detailed information on the SNB's discount policy may be found in the SNB commemorative publication of 1957, pp (page numbers refer to the German version). Interest rates and yields 9 SNB

12 Target range for three-month Libor The SNB monetary policy in force since 2000 consists of the following three elements: (1) a definition of price stability, (2) a medium-term inflation forecast, and (3) a target range for a reference interest rate, the Libor 2 for three-month investments in Swiss francs. This final element functions at an operational level. In general, the National Bank determines the target range once a quarter. The range is usually 1 percentage point wide. Main financing operations Since 1997, the SNB has been in a position to conduct repurchase agreements, generally referred to as 'repos', and, in April 1998, concluded its first repo transactions with banks. Fundamentally, a repo consists of two transactions. These are, first, a sale of securities by the cash taker to the cash provider (spot transaction) and, second, a simultaneous repurchase of securities of the same kind, volume and quality at a future specified or unspecified time (forward transaction). The purchase price corresponds to the market value of the securities including accrued interest. During the term of the repo, the cash provider has ownership of the securities. From the cash provider's point of view we can speak of a 'reverse repo'. In economic terms, a repo transaction is a loan secured by negotiable instruments (collateral), on which a repo interest rate is payable. In view of the volatility in the market value of securities, maximum constancy in the collateral backing of the loan can only be achieved if the most recent market value of the securities is calculated at least once a day and compared with the funding side of the transaction. If a discrepancy emerges between two parties with respect to the funding and security sides, this is balanced out by securities or cash (margin call). 3 In main financing operations, the SNB is always the cash provider. It purchases securities from the banks and credits the corresponding amounts to their sight deposit accounts. The SNB generally announces the maturity and repo interest rate for its monetary policy auctions each business day at 9.00 a.m. (CET) through the Eurex Repo electronic trading system and the Reuters and Bloomberg information services. The banks then submit their bids. These usually exceed the volume of liquidity that the SNB has planned to allot. The SNB then allots the liquidity proportionately to the bids that have been made. before a bank can make use of special-rate repo transactions. First, the SNB must grant it a limit, indicating the maximum amount of liquidity it may draw. Second, it must open a special security custody account with SIS SegaInterSettle AG (SIS), and third, it must always provide collateral cover for at least 110% of its limit in the form of securities eligible for repo transactions with the SNB. Yields on Confederation money market debt register claims Money market debt register claims are the Confederation's most important instrument for obtaining funds in the short term. It has been issuing these claims since 1979 in order to raise money for three, six or twelve months. The SNB was entrusted with management of the issues, and acts as the Confederation's agent. Money market debt register claims are allotted by means of a tender procedure. Potential buyers announce the volume of money market debt register claims they wish to purchase and the price at which they wish to purchase them. All bids accepted are allocated at a uniform price determined by the price offered in the final bid accepted. Table 2.1 shows auction yields calculated as follows: The difference between the nominal price, N, and the auction price, P, corresponds to outstanding interest payments from the money market debt register claim. This interest amount is set in relation to the auction price and, finally, weighted with the residual term, t. Formula 1, auction yield ya ya ya: auction yield N: nominal price P: market price t: residual term in days ( N P) = P t Special-rate repo transactions Since 2004, the SNB has offered special-rate repo transactions to bridge unexpected short-term liquidity bottlenecks. The special rate is 2 percentage points above the Repo Overnight Index (SNB) 4 of the previous bank working day. The liquidity obtained in this manner must be repaid on the next bank working day, plus interest. Three conditions must be fulfilled 2 London Interbank Offered Rate. On the Libor, cf. also the section on interbank rates. 3 Cf. Jordan (2002). 4 On the Repo Overnight Index, cf. also the section on interbank rates. SNB 10 Interest rates and yields

13 Interbank rates The tom/next deposit rate The tom/next is a call money rate. On the bank business day following the conclusion of the transaction (TOMorrow), the borrower receives the money. He repays it with interest on the subsequent bank business day (NEXT). Typical investors are bankers and institutional investors, since these meet the demanding requirements both with respect to volume and provision of funds. Tom/next deposit rates were strongly affected by the introduction of the new liquidity regulations in The monthly reporting requirement for cash liquidity was abolished and the end-of-month interest rate peaks disappeared. In the tabular section (table 2.1) of this publication, the highest tom/next interest rate offered on the Euromarket in Zurich at 10 a.m. (CET) (bid rate) is reproduced. Repo Overnight Index (SNB) The Repo Overnight Index (SNB) is calculated by the SNB. It reflects interest rate conditions on the interbank market for repo overnight transactions. All general collateral 5 interbank transactions involving securities eligible for SNB repo transactions are taken into account when calculating this index. Libor The Libor 6 (London interbank offered rate) is a money market rate for unsecured investments of varying maturities, denominated in different currencies, on the interbank market. Every day at 11 a.m. (UTC), the British Bankers' Association (BBA) calculates various Libors. The Swiss franc Libor corresponds to the interest rate conditions offered for Swiss franc loans to leading banks. Every working day, these banks report to the BBA the interest rates at which they are able to obtain unsecured money market loans of a normal size on the London interbank market. These interest rates are arranged by level of interest rate, ranging from the lowest to the highest. An average is calculated from the second and third quartiles and the figure obtained in this manner is published as the Libor. Yields on bonds The Swiss Confederation is the major borrower on the Swiss franc bond market and the bonds it issues are considered risk free. Yields on Confederation bonds are important benchmarks for capital market interest rates. For this reason, they have been calculated since the beginning of the twentieth century. Not until later were yields calculated for bonds issued by other borrowers. The aim of these calculations is to obtain the clearest possible picture of the interest rate situation in the capital market, for a number of different borrower categories. Over the past hundred years, the calculation method for Confederation bonds has been adjusted three times. The first three methods all used an average of individual bond yields, while the fourth method, which is currently in use, calculates spot interest rates. Yield on 3.5% SBB/CFF bonds, series A K In 1890, the Swiss Confederation, through the SBB/CFF (Swiss Federal Railways), began constructing a railway network to serve the whole of Switzerland. As part of this project, the SBB/CFF issued couponbearing bonds in order to buy up the shares of private railway companies. By the end of 1912, the volume of SBB/CFF bonds was ten times that of the Confederation bonds. Consequently, the yield on 3.5% SFF/CFF bonds, series A K, was considered the benchmark for the Swiss capital market. Due to redemptions, the level of outstanding SBB/CFF bonds declined and they lost their representative status on the capital market. Average yield, by maturity As of 1924, the SNB published an average yield by maturity. It did this by putting together a basket of about one dozen representative Confederation and SBB/CFF bonds, all of which had a residual maturity of at least five years. For each bond, an equation was established with market price on one side of the equation and discounted future payments on the other. Future payments were made up of coupon payments, c, and the nominal value, N. The yield, y, was the discount rate at which these discounted future payments were arithmetically equal to the market price. It could be calculated by means of an iterative procedure, using formula 2. Formula 2, yield by maturity, y y: yield c: coupon payment N: nominal value p: market price m: residual term m c N P = ( 1 + y ) k ( 1 + y ) m k = 1 The average yield by maturity corresponded to the weighted average of individual bond yields. The weighting was based on the bond amounts outstanding at the beginning of the year. 5 In a general collateral repo, any securities taken from a predefined list (basket) may be supplied by way of collateral. 6 Cf. British Bankers' Association (2002/2006). Interest rates and yields 11 SNB

14 Average yield, by callability and maturity One problem that arose with the average yield by maturity figure was attributable to callable bonds. Where bonds were redeemed prematurely in order to issue a new bond with lower coupons and thereby reduce capital costs, the yield by maturity figure conveyed a distorted picture of the situation on the capital market. Consequently, a new average yield calculation by callability and maturity was introduced in In this new calculation, premature callability of bonds was included where appropriate. Yields on callable bonds were calculated for two residual terms: to expiry (yield by maturity), and to the next possible redemption date (yield by callability). Applying the principle of 'lowest yield', the lower yield figure of the two was then used for the calculation of the overall average, for each bond. The average was no longer weighted by the volumes of the bonds outstanding. The basket of bonds was redefined. Bonds could not be included in the basket if they were subject to some special provision (e.g. variable interest rate, convertible bond, etc.), and their residual term had to amount to at least five years, or three years to the first redemption date. Adjustments to the basket were made at the end of the year. Spot interest rates When calculating the average yields, the same discount rates were used for all coupon payments as well as for the nominal rate, despite the fact that the maturities of the individual payment streams differed. Yet, generally speaking, the interest rates for different maturities vary. In 2000, average yields were replaced by spot interest rates in order to take this factor into account. The spot interest rate is defined as the yield of a zero-coupon bond with a specific maturity. If we plot the yields of zero-coupon bonds by increasing maturity, we obtain the yield curve. The graph below shows a number of yield curves for Swiss Confederation bonds at different points in time. Graph 1, yield curve Yield in percent Residual term in years SNB 12 Interest rates and yields

15 To date, no zero-coupon bonds have been issued in Switzerland. Consequently, it is necessary to estimate theoretical spot rates using the yields on couponbearing bonds. For this, the SNB uses the Nelson- Siegel-Svensson method. 7 To begin the estimation procedure, formula 2 is applied, with yield, y, being replaced by spot interest rates, R k, which are dependent upon maturities (formula 3). Formula 3, spot interest rates, R k 8 m c N P = ( 1 + R k ) k ( 1 + R k = 1 m ) m R k : spot interest rate for maturity k c: coupon payment N: nominal value P: market price m: residual term For estimating spot interest rates, the SNB uses the Nelson-Siegel-Svensson function, shown in formula 4. This form of the function makes it possible to depict S-shaped, monotonic and humped yield curves. Formula 4, Nelson-Siegel-Svensson function for steady spot interest rate 1 exp( γ 1 m) Rmβ (, ) = β 0 + β 1 γ 1 m exp( γ 1 m) + β exp( γ 1 m γ m ) 1 1 exp( γ 2 m) + β exp( γ 2 m γ m ) 2 No callable bonds are included when estimating spot rates. Moreover, only bonds with an issue volume of at least CHF 100 million, in the case of domestic borrowers, and CHF 200 million, in the case of foreign borrowers, are included. In addition, in the case of Swiss Confederation bonds, the minimum allowable term is 12 months. Interest rates on bank customer loans and deposits Customer loans Mortgage loans The mortgage rate is the price charged for a loan secured by a mortgage. Three standard mortgage products are currently available in the market variable-rate, fixed-rate and money market mortgages. In the case of variable-rate mortgages the traditional mortgage form the interest rate is regularly adjusted to movements in interest rates on the capital market. These mortgages have no fixed term. Fixed-rate mortgages charge a fixed interest rate during the contractual term, which ranges between two and a maximum of ten years. In the case of money market mortgages, the rate of interest is linked to movements in a given money market rate, which is often the three-month Libor. Current account overdraft facility Provision of current account overdraft facilities is the typical manner in which banks lend money to businesses in Switzerland. Borrowers can draw on these facilities or repay funds at any time, within the approved line of credit. Transactions are set off against one another on an ongoing basis. Borrowers may temporarily become creditors, if the balance in their account is positive. In this case, the bank will credit the normal interest payment for sight deposits. Otherwise, the current account overdraft interest rate will be charged. Customer deposits Savings deposits Savings deposits are customer deposits that enjoy preferential protection under bankruptcy law and are subject to limitations with respect to withdrawals. Until 1997, only deposits whose name included the word 'saving' in some form were protected by the Banking Act (art. 37a), which conferred the status of preferential claim in the event of insolvency for amounts up to CHF 5,000. Since 1997, all customer deposits, including medium-term bank-issued notes, have enjoyed preferential insolvency protection (up to a maximum amount of CHF 30,000 per customer). Sight deposits The amount of interest paid on sight deposits is very dependant on the type of account held. The tables show the rates of interest paid on creditor accounts and those paid on check accounts. In practice, creditor accounts earned a higher rate of interest 7 Müller (2002) and Heller (1997) provide detailed information on this method. 8 In practice, steady interest payments are used. Interest rates and yields 13 SNB

16 while being charged a turnover commission. By contrast, the rates of interest on check accounts were lower but no commissions were charged. Nowadays, the most common kinds of sight deposits are private accounts and salary accounts. These accounts, referred to as transaction accounts, are often subject to withdrawal limitations, although the conditions are less restrictive than those applying to savings deposits. Time deposits In the case of time deposits, banks accept funds for a term which is fixed in advance. The level of interest paid on the time deposits is determined by the term of the deposit, by interest rates in the money market and by the amount of the deposit. The interest sum is paid out at the end of the term, which generally lasts between three and twelve months. The minimum deposit is usually CHF 100,000. Medium-term bank-issued notes Medium-term bank-issued notes (obligations de caisse/kassenobligationen) are a form of bank debt certificate with a term of, generally speaking, between two and eight years. From the point of view of the customer they are fixed investments, since they are not usually traded. The minimum issue sum for a mediumterm bank-issued note is usually CHF 1,000, which is lower than the minimum for time deposits. Interest payments on medium-term bank-issued notes used to be made twice a year; nowadays, annual payments are the norm. Medium-term bank-issued notes used to play a major role in the refinancing of mortgage loans. As a result, they were affected by the efforts to keep mortgage rates low. Between 1934 and 1995, all banks with total assets of at least CHF 20 million were required, under the provisions of art. 10 para. 1 of the Banking Act, to report to the National Bank any plans to increase interest rates on medium-term bank-issued notes. The SNB had the power to prevent increases of this kind. It last made use of this power at the end of the 1970s. SNB 14 Interest rates and yields

17 Bibliography and further reading Albisetti, Emilio and Max Boemle, Paul Ehrsam, Max Gsell, Paul Nyffeler, Paul Rutschi Handbuch des Geld-, Bank- und Börsenwesens der Schweiz. Ott Verlag Thun. Boemle, Max and Max Gsell, Jean-Pierre Jetzer, Paul Nyffeler, Christian Thalman Geld-, Bankund Finanzmarkt-Lexikon der Schweiz. SKV Zurich. British Bankers' Association. 11 July The BBA LIBOR fixing definition. On the internet at: BBA LIBOR, BBA LIBOR definition, The BBA LIBOR fixing definiton (accessed 16 July 2007). British Bankers' Association. 21 March BBA LIBOR Frequently asked questions. On the internet at: BBA LIBOR, BBA LIBOR definition, BBA LIBOR Frequently asked questions (accessed 16 July 2007). Duperrex, Emil Die Entwicklung der Zinssätze in der Schweiz während der letzten 50 Jahre. Orientierung der Schweizerischen Volksbank (29). Heller, Daniel Zinskurven und ihr Informationsgehalt für die Geldpolitik der SNB. Quartalsheft der Schweizerischen Nationalbank (2), Jordan, Thomas J Das Repo-Geschäft in Schweizerfranken und die Innovation des geldpolitischen Instrumentariums der Schweizerischen Nationalbank. Aktuelle Rechtsprobleme des Finanzplatzes Schweiz, Müller, Robert Calcul des rendements obligatoires publiés par la BNS. Bulletin trimestriel de la Banque nationale suisse (2), / Zur Berechnung der Obligationenrenditen im Statistischen Monatsheft der SNB. Quartalsheft der Schweizerischen Nationalbank (2), Swiss National Bank Banque nationale suisse/schweizerische Nationalbank (commemorative publication, available in French and German). Swiss National Bank Zurich. Swiss National Bank The Swiss National Bank (commemorative publication, available in French, German, Italian and English). Verlag Neue Zürcher Zeitung Zurich. Data sources British Bankers' Association Libor. On the internet at: BBA LIBOR, Historic BBA LIBOR rates ( ). Swiss National Bank surveys. Swiss National Bank, Statistisches Handbuch des schweizerischen Geld- und Kapitalmarktes. Mitteilungen der volkswirtschaftlichen und statistischen Abteilung der Schweizerischen Nationalbank (26). Schulthess & Co. A. G Zurich. Swiss National Bank. Various years. Das Schweizerische Bankwesen. SNB Library Zurich. Swiss National Bank. Various years. Banks in Switzerland (available in French and German; English from 1995 only) SNB Library Zurich. Swiss National Bank. Various years. Monatsbericht. SNB Library Zurich. Interest rates and yields 15 SNB

18 SNB 16 Interest rates and yields

19 Tables Interest rates and yields 17 SNB

20 SNB 18 Interest rates and yields

21 List of tables Page Tables Time period 21 Conventions and notes 23 SNB interest rates Official interest rates a Discount rates and Lombard rates in Switzerland, Rates for main financing operations Target range for three-month Libor Money market rates, in CHF Money market rates, in CHF Yields on Confederation money market debt register claims Interbank rates Website 2.1a Repo Overnight Index (SNB) Website 2.1b Euromarket rates Website 2.1c Libor Yields on bonds Yields on Swiss Confederation bonds Website 3.1a Yields on Swiss Confederation bonds at the end of the period Spot interest rates on Swiss Confederation bonds Bond yields, by borrower Website 3.3a Yields on cantonal bonds Website 3.3b Yields on commercial bank bonds Website 3.3c Yields on mortgage bond institution bonds Website 3.3d Yields on industrial bonds Interest rates on bank customer loans and deposits Interest rates on mortgage loans Website 4.1a Interest rates on first mortgages, by region Interest rates on current account overdraft facilities Interest rates on savings deposits Website 4.3a Interest rates on savings deposits, by region Interest rates on sight deposits Interest rates on time deposits Interest rates on medium-term bank-issued notes Website 4.6a Interest rates on medium-term bank-issued notes, by region Interest rates and yields 19 SNB

22 SNB 20 Interest rates and yields

23 Zeichenerklärungen Conventions used in this publication 0 Kleiner als die Hälfte der verwendeten Zähleinheiten, jedoch mehr als nichts (gerundete Null). Smaller than half of the unit used, but larger than zero (rounded zero). Nichts vorhanden oder eine Veränderungsrate bzw. eine Differenz wurde aus zwei exakt gleich grossen Werten berechnet (echte Null). No data reported or a rate of change or a difference was calculated based on two exactly equal values (absolute zero).. Zahlenwert unbekannt, vertraulich, nicht sinnvoll, nicht länger erhoben oder keine meldenden Institute oder Stellen (fehlender Wert). Figure unknown, confidential, not relevant, no longer reported or no reporting institutions (missing value). Reihenbruch. Break in the series. Erläuterungen Notes Rundungsdifferenzen Rounding differences Die in den Tabellen aufgeführten Werte sind auf drei Stellen nach dem Komma gerundet. Wo solche gerundeten Werte in Berechnungen einfliessen können daher Abweichungen von den exakten Werten auftreten. The figures in the tables have been rounded to three decimal places. Final results may deviate from the precise figures when rounded data of this kind is used in calculations. Periodenangaben Periodic data Die in den Tabellen aufgeführten Werte, die sich auf das Ende einer Periode beziehen, zeigen den letzten beobachteten Wert einer Periode. Daher können Abweichungen des Beobachtungstages entstehen. The data listed in the tables relating to the end of a period state the final figure observed in a given period. For this reason, the day on which the observation was recorded may vary. Auskunft Further information publications@snb.ch Internet SNB website Die Tabellen finden Sie auch im Internet unter Publikationen, Historische Zeitreihen. Die Daten liegen dort teilweise in kürzeren Periodizitäten vor. Zudem werden im Internet auch Tabellen publiziert, auf die in der gedruckten Ausgabe aus Platzgründen verzichtet wird. The tables are published on the SNB website, Publications, Historical time series, where there are also some additional data for shorter time intervals (e.g. monthly) as well as tables that are not included in the printed version due to lack of space. Interest rates and yields 21 SNB

24 SNB 22 Interest rates and yields

25 Zinssätze der Nationalbank SNB interest rates Interest rates and yields 23 SNB

26 1.1 Offizielle Zinssätze Official interest rates In Prozent / In percent Diskontsatz Discount rate Lombardsatz Lombard rate Repo-Geschäft zum Sondersatz Special-rate repo transactions In Prozent / In percent Jahresende End of year Diskontsatz Engpassfinanzierungsfazilitäten 1 Liquidity-shortage financing facility 1 Discount rate Lombardsatz 2 Repo-Geschäft zum Sondersatz Lombard rate 2 Special-rate repo transactions SNB 24 Interest rates and yields

27 In Prozent / In percent Jahresende End of year Diskontsatz Engpassfinanzierungsfazilitäten 1 Liquidity-shortage financing facility 1 Discount rate Lombardsatz 2 Repo-Geschäft zum Sondersatz Lombard rate 2 Special-rate repo transactions Sowohl der Lombardsatz wie auch das Repo-Geschäft zum Sondersatz sind Engpassfinanzierungsfazilitäten. Der Begriff Engpassfinanzierungsfazilitäten wird aber erst seit 2004 verwendet. In den Jahren 2004 und 2005 standen den Banken für Liquiditätsengpässe sowohl ein Lombardsatz wie auch ein Repo-Geschäft zum Sondersatz zur Verfügung. Während der Übergangsphase entsprach der Lombardsatz dem Sondersatz. Der Zins berechnete sich seither aus dem Repo-Overnight-Index (SNB) vom Vortag zuzüglich 2 Prozentpunkte. Lombard advances and special-rate repo transactions both qualify as liquidity-shortage financing facilities. However, the term liquidity-shortage financing facilities has only been used since In 2004 and 2005, banks faced with liquidity shortages could make use of either a Lombard advance or a special-rate repo transaction. During the transition phase, the Lombard rate corresponded to the special rate. Since then, the interest rate has been calculated on the basis of the Repo Overnight Index (SNB) of the previous day plus 2 percentage points. 2 Ende Mai 1989 wurde der Lombardsatz vom Diskontsatz gelöst. Er lag neu einen Prozentpunkt über dem Mittel der Tagesgeldsätze der zwei vorangegangenen Bankwerktagen und wurde täglich berechnet. At the end of May 1989, the Lombard rate was separated from the discount rate. The Lombard rate was then set one percentage point higher than the average of the overnight rates for the two previous bank working days, and was calculated on a daily basis. Interest rates and yields 25 SNB

28 1.1a Diskontsätze und Lombardzinsfuss in der Schweiz Discount rates and Lombard rates in Switzerland, In Prozent / In percent Jahresmittel Diskontsatz Discount rate Lombardsatz in Zürich Annual average Genf Basel Zürich St. Gallen Lombard rate in Zurich Geneva Basel Zurich St Gallen SNB 26 Interest rates and yields

29 1.2 Hauptfinanzierungsgeschäfte Rates for main financing operations Liquiditätszuführende Transaktionen / Transactions creating liquidity In Prozent / In percent Jahresmittel Annual average Sätze für Kontrakte mit Laufzeiten von Rates for contracts with a maturity of Overnight Tomorrow Next Spot Next 1 Woche 2 Wochen 3 Wochen Tom/next Spot next 1 week 2 weeks 3 weeks Interest rates and yields 27 SNB

30 1.3 Zielband für den Dreimonats-Libor Target range for three-month Libor In Prozent / In percent Obere und untere Grenze des Zielbandes der SNB Upper and lower limits of the SNB target range Liborsatz für 3-Monatsdepots in CHF (siehe Tabelle 2.1) Libor for three-month deposits in CHF (cf. table 2.1) In Prozent / In percent Festgelegt am Liborsatz für 3-Monatsdepots in CHF Libor for three-month deposits in CHF Fixed on Untere Grenze des Zielbandes Lower limit of target range Obere Grenze des Zielbandes Upper limit of target range SNB 28 Interest rates and yields

31 Geldmarktsätze für Schweizerfranken Money market rates, in CHF Interest rates and yields 29 SNB

32 2.1 Geldmarktsätze für Schweizerfranken Money market rates, in CHF Tagesgeldsätze / Overnight rates In Prozent / In percent Repo-Overnight-Index (SNB) Repo Overnight Index (SNB) Tomorrow next Tom/next Callgeld Call money In Prozent / In percent Jahresmittel Renditen der Geldmarktbuchforderungen des Bundes Interbankensätze Interbank rates Annual average Yields on Confederation money market debt register claims Schweiz Switzerland Zürich, Euromarktsätze 3 Zurich, Euromarket interest rates 3 3 Monate 1 Repo-Overnight- Index (SNB) 2 Tomorrow next Callgeld 4 1 Monat 3 Monate 3 months 1 Repo Overnight Index (SNB) 2 Tom/next Call money rate 4 1 month 3 months Mittel aus den Beobachtungen an den Monatsenden. Bis 1990 Rendite bei Emission. Bei mehreren Emissionen pro Monat: letzte des Monats. Seit 1990 Rendite bei Auktion. Bei mehreren Auktionen pro Monat: letzte Auktion des Monats. Average of month-end observations. Until 1990, yield at issue. Where there are several issues per month, the last of the month. Since 1990, yield at auction. Where there are several auctions per month, the last of the month. 2 Betragsgewichteter Tagesdurchschnitt. Daily average weighted by amount. SNB 30 Interest rates and yields

33 Geldanlagen für 3 Monate / Rates on three-month investments In Prozent / In percent Eidg. Geldmarktbuchforderungen Confederation money market debt register claims Euromarktsatz 3 Monate Euromarket 3-month rate Libor 3 Monate 3-month Libor In Prozent / In percent Jahresmittel Interbankensätze Interbank rates Annual average London, Libor 6 Monate 12 Monate 1 Monat 3 Monate 6 Monate 12 Monate 6 months 12 months 1 month 3 months 6 months 12 months Internationaler Finanzmarkt, an dem Einlagen- und Kreditgeschäfte in einer Währung ausserhalb ihres Währungsbereichs getätigt werden. International financial market in which deposit and loan transactions are conducted in a currency outside the geographical area of that currency. 4 Mittel aus 4 monatlichen Beobachtungen. Callgeld kann unter Einhaltung einer Kündigungsfrist jederzeit zur Rückzahlung gekündigt werden. Daten zu den Callgeldern sind im Internet ab 1948 verfügbar. Average of 4 monthly observations. Call money may be called in for repayment at any time, subject to the observation of a period of notice. Call money data are available on the SNB website from 1948 onwards. Interest rates and yields 31 SNB

34 SNB 32 Interest rates and yields

35 Renditen von Obligationen Yields on bonds Interest rates and yields 33 SNB

36 3.1 Renditen von Obligationen der Eidgenossenschaft Yields on Swiss Confederation bonds Obligationen der Eidgenossenschaft / Confederation bonds In Prozent / In percent SBB-Anleihen SBB/CFF bonds Rendite nach Fälligkeit Yield by maturity Rendite nach Kündbarkeit Yield by callability Rendite nach Kündbarkeit / Fälligkeit Yield by callability / maturity Kassazinssätze 10 Jahre 10-year spot rates In Prozent / In percent Jahresmittel 1 Rendite der 3,5% SBB Anleihen, Serie A K 2 Rendite nach Fälligkeit 3 Rendite nach Kündbarkeit Rendite nach Kündbarkeit und Fälligkeit 4 Yield by callability and maturity 4 Annual Yield on 3.5% average 1 SBB/CFF bonds, series A K 2 Yield by maturity 3 Yield by callability Total 5 Restlaufzeit Residual term Bis 7 Jahre Über 7 Jahre Bis 20 Jahre 7 years or less More than 7 years 20 years or more SNB 34 Interest rates and yields

37 In Prozent / In percent Jahresmittel 1 Rendite der 3,5% SBB Anleihen, Serie A K 2 Rendite nach Fälligkeit 3 Rendite nach Kündbarkeit Rendite nach Kündbarkeit und Fälligkeit 4 Yield by callability and maturity 4 Annual Yield on 3.5% average 1 SBB/CFF bonds, series A K 2 Yield by maturity 3 Yield by callability Total 5 Restlaufzeit Residual term Bis 7 Jahre Über 7 Jahre Bis 20 Jahre 7 years or less More than 7 years 20 years or more Interest rates and yields 35 SNB

38 1 SBB-Anleihen: Mittel aus Beobachtungen am Ende des Monats. Rendite nach Fälligkeit: Bis 1944 Mittel aus Beobachtungen am letzten Montag des Monats, dann Mittel aus täglichen Beobachtungen. Rendite nach Kündbarkeit: Bis 1942 Mittel aus Beobachtungen am Ende des Monats, dann Mittel aus täglichen Beobachtungen. Rendite nach Kündbarkeit und Fälligkeit: Mittel aus täglichen Beobachtungen. SBB/CFF (Swiss Federal Railway) bonds: Average of observations conducted at the end of the month. Yield by maturity: Until 1944, average of monthly observations conducted on the final Monday of the period; thereafter, average of daily observations. Yield by callability: Until 1942, average of monthly observations conducted at the end of the period; thereafter, average of daily observations. Yield by callability and maturity: Average of daily observations. 2 Der Berechnung der Rendite wurde die mittlere Laufzeit zugrunde gelegt. Vom August 1914 bis Mai 1916 waren die Börsen geschlossen. Calculation of yields was based on an average maturity. Stock exchanges were closed from August 1914 to May Durchschnittliche Rendite von rund einem Dutzend Anleihen des Bundes und der SBB mit einer Restlaufzeit von 5 Jahren. Die der Berechnung zugrunde gelegten Laufzeiten wurden nur auf Semesterbeginn abgeändert. Der Durchschnitt stellte ein nach Anleihensbetrag gewogenes Mittel dar. Ab 1970 wurden zur Berechnung der Durchschnittsrendite «Investors Bond Value Table» (Aufzinsungsfaktor gemäss marktmässigem Zinsfuss) statt Reta-Tabellen (1970: Aufzinsungsfaktor 1,03) verwendet wurde die Basis zur Berechnung der Durchschnittsrendite der eidgenössischen Obligationen angepasst. Hohe Nominalzinssätze, tiefe Renditen, hohe Kurse und Laufzeiten von 13 und mehr Jahren veränderten die Erwartungen der Anleger sprunghaft. Der Bruch im Trend konnte nur durch Eingrenzung der Laufzeit behoben werden. Neu wurden nur noch Obligationen mit einer Restlaufzeit zwischen 5 bis 12 Jahren aufgenommen. Seit 1982 wurden alle eidgenössischen Anleihen mit einer Restlaufzeit zwischen 5 und 12 Jahren in der Renditeberechnung berücksichtigt. Ab 1984 wurden alle Anleihen mit einer Restlaufzeit von mindestens 5 Jahren bis zur Fälligkeit und 3 Jahren bis zur Kündbarkeit in die Berechnung einbezogen. Average yield of about one dozen Confederation and SBB/CFF bonds with a residual term of five years. The maturities upon which the calculation was based were only changed once every six months. The average was weighted by the amount of each type of bond. As of 1970, the Investors Bond Value Table (accrual factor using the interest rate prevalent in the market) was used for calculating the average yield instead of Reta tables. (1970: accrual factor of 1.03). In 1977, an adjustment was made to the basis upon which the average yield on Confederation bonds was calculated. Investors' expectations changed dramatically as a result of high nominal interest rates, low yields, high prices and maturities of 13 or more years. The break in the trend could only be overcome by limiting the maturity, and from then on, only bonds with residual terms of between 5 and 12 years were included. Since 1982, all Confederation bonds with a residual term of between 5 and 12 years have been included in the yield calculation, and as of 1984, all bonds with a residual term of at least 5 years to maturity and 3 years to callability have been included in the calculation. 4 Alle eidgenössischen Anleihen mit Restlaufzeit zwischen 5 und 12 Jahren. All Confederation bonds with a residual term of between 5 and 12 years. 5 Im Jahr 1999 gehen erstmals eidgenössische Anleihen mit Restlaufzeiten von mehr als 20 Jahren in die Berechnung der Durchschnittsrendite ein. Um die Vergleichbarkeit mit den früheren Renditen herzustellen, wird eine Durchschnittsrendite mit Anleihen mit Restlaufzeiten bis 20 Jahren berechnet. In 1999, Confederation bonds with residual terms of more than 20 years were included in the calculation of the average yield for the first time. So that they are comparable with previous yields, an average yield is calculated for bonds with residual terms of 20 years. SNB 36 Interest rates and yields